Notice: On March 31, it was **announced** that Statalist is moving from an email list to a **forum**. The old list will shut down on April 23, and its replacement, **statalist.org** is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
"Tiago V. Pereira" <tiago.pereira@mbe.bio.br> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: How to improve accuracy in numerical integrations using Stata |

Date |
Fri, 23 Dec 2011 10:40:54 -0200 (BRST) |

Dear statalisters, I am using -integ- to numerically integrate a set of functions. An example of a function to integrate: function_y = -2*normal((-`x'-`r'*z)/sqrt(1-`r'^2))*normalden(z) for variable z. In my case, the domain ranges from 0 to `x'. So, what I am doing is the following: */ ------------ start example -------------- local r = 0.1 local x = 6 drop _all range z 0 `x' 1000 generate y = -2*normal((-`x'-`r'*z)/sqrt(1-`r'^2))*normalden(z) dydx y z, gen(yprime) integ y z, gen(Sy) */ ------- end example ------------------ dis r(integral) -5.288096*07214*e-10 to gain more precision, I have manually edited -integ- to compute values using the double format (i.e. instead of 'gen float variable = ', it is using 'gen double variable ='). It seems that some precision is gained: [using the exactly same code above, but using the 'double' version, one gets:] dis r(integral) -5.288096*31782*e-10 I know that the correct answer would be something like: -5.28809630924643245856745711e-10 which is obtained from numerical integration using a C program (supposed to be the most precise approach I am aware of). Do you have any ideas on how to further increase the precision for numerical integration in Stata? The problem is that I am working on heavy tails (alpha levels below 10^-8). All the best, Tiago * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: How to improve accuracy in numerical integrations using Stata***From:*Maarten Buis <maartenlbuis@gmail.com>

- Prev by Date:
**RE: st: png graph quality poor** - Next by Date:
**st: Simple question about interpreting an econometric model** - Previous by thread:
**st: Can Stata rotate a discriminant analysis?** - Next by thread:
**Re: st: How to improve accuracy in numerical integrations using Stata** - Index(es):